This paper examines the European natural gas market connectedness. Four main markets from the North-Western and South European regions are investigated with the Diebold-Yilmaz connectedness approach derived from the time-varying parameters VAR model with stochastic volatility. We show that the...

Since the 1990s, one of the objectives of the European Union (EU) energy policy has been to create a single integrated European internal electricity market within the EU. This study uses a broad set of European electricity markets to answer the question whether volatility spillover is higher in...